An Exact Auxiliary Variable Gibbs Sampler for a Class of Diffusions
From MaRDI portal
Publication:5066386
DOI10.1080/10618600.2020.1816177OpenAlexW3081839442MaRDI QIDQ5066386
Qi Wang, Unnamed Author, Yee Whye Teh
Publication date: 29 March 2022
Published in: Journal of Computational and Graphical Statistics (Search for Journal in Brave)
Full work available at URL: https://arxiv.org/abs/1903.10659
Related Items
Uses Software
Cites Work
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Unnamed Item
- The Pricing of Options and Corporate Liabilities
- On the exact and \(\varepsilon\)-strong simulation of (jump) diffusions
- A general framework for the parametrization of hierarchical models
- Hybrid Monte Carlo on Hilbert spaces
- Numerical solution of SDE through computer experiments. Including floppy disk
- A hyperbolic diffusion model for stock prices
- Particle-based likelihood inference in partially observed diffusion processes using generalised Poisson estimators
- Exact simulation of diffusions
- Retrospective exact simulation of diffusion sample paths with applications
- On inference for partially observed nonlinear diffusion models using the Metropolis-Hastings algorithm
- Unbiased Estimation with Square Root Convergence for SDE Models
- Cosmic mass functions from Gaussian stochastic diffusion processes
- Multilevel Monte Carlo Path Simulation
- Exact and Computationally Efficient Likelihood-Based Estimation for Discretely Observed Diffusion Processes (with Discussion)
- Markov Chains and Stochastic Stability
- Particle Filters for Partially Observed Diffusions
- Simulation of Nonhomogeneous Poisson Processes with Degree-Two Exponential Polynomial Rate Function
- Particle Markov Chain Monte Carlo Methods
- Random-Weight Particle Filtering of Continuous Time Processes
- Exact Sampling of Jump Diffusions
- Stochastic differential equations. An introduction with applications.